At the Central Administration Level (across the farm)
Open up Central Administration > Application Management
Under “Service Applications” click on Manage service applications
Click on Search Service Application
Under Queries and Results on the Quick navigation click on Scopes
From here on instructions are identical to the steps performed at the Site collection Level.
At the Site Collection Level
Site Actions > Site Settings
Under “Site Collection Administration”, click on Search Scopes
Here you can create new scopes, and edit the custom scopes. Once a scope is created, you have to add rules for crawling.
Pay close attention to how you can structure include/exclude settings to capture only a certain section of a network share: